Credit Suisse to price optimal entry return enhanced notes linked to S&P 500 via JPMorgan

By E. Janene Geiss

Philadelphia, May 15 - Credit Suisse, Nassau Branch plans to price 0% optimal entry return enhanced notes due Aug. 12, 2010 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.

If the final index level is greater than the lookback level, the payout at maturity will be par plus 300% of the gain. The payout will be subject to a maximum return of at least 15% with the exact cap to be set at pricing.

If the final index level is less than the lookback level, investors will be fully exposed to the decline.

The lookback level will be the index's lowest closing level during the 90 calendar days that begin on the pricing date. The final index level will be the average of the index's closing levels on the five trading days ending Aug. 9, 2010.

The notes are expected to price May 15 and settle May 20.

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